Pierrick shows us how to save the Z pass information.
Here is a small tutorial showing you how to output the Z pass in Blender, for your compositing in external software or even in blender.
Here is the link to the "Save Render Layers to Image Files" addon by Tamir Lousky.
0:30 = introduction
6:30 = how to pixelise Z pass
14:50 = save multiple passes
20:00 = how to use the Z pass in photoshop